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Risikofaktoren und Multifaktormodelle für den Deutschen Aktienmarkt (Risk Factors and Multi-Factor Models for the German Stock Market)
Hanauer, Matthias; Kaserer, Christoph; Rapp, Marc Steffen - 2011
insignifikant (positive) Marktrisikoprämie, eine signifikant negative Größenprämie (Size Premium), eine signifikant positive … Substanzprämie (Value Premium) und eine signifikant positive Momentumprämie (Momentum Premium). Zweitens zeigen sich alle vier … four major results: First, we find an insignificant (positive) market risk premium, a significant negative size premium, a …
Persistent link: https://www.econbiz.de/10010307494
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Reits' Growth Options and Asset Pricing Dynamics across Time
Tan, Cheng Wee; Tirtiroglu, Dogan; Tirtiroglu, Ercan - 2013
reports of the 'death of beta' from the mainstream finance literature, (iii) the capital markets' one-year momentum measure …
Persistent link: https://www.econbiz.de/10010500235
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Systematic consumption risk in currency returns
Hoffmann, Mathias; Suter, Rahel - 2013
We sort currencies into portfolios by countries' consumption growth over the past year. The excess return of the highest-consumption-growth currency portfolio over the portfolio of lowest-consumption-growth currencies is positive on average, compensating investors for large negative returns...
Persistent link: https://www.econbiz.de/10010316899
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What we learn from China's rising shadow banking: Exploring the nexus of monetary tightening and banks' role in entrusted lending
Chen, Kaiji; Ren, Jue; Zha, Tao - 2016
We argue that China's rising shadow banking was inextricably linked to potential balancesheet risks in the banking system. We substantiate this argument with three didactic findings: (1) commercial banks in general were prone to engage in channeling risky entrusted loans; (2) shadow banking...
Persistent link: https://www.econbiz.de/10011776811
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Language tone in financial news media and the cross-section of stock returns
Bask, Mikael; Forsberg, Lars; Östling, Andreas - 2020
Based on 58,256 news articles published in the Financial Times during a 15-year period that cover companies in the DJIA, we find that a trading strategy that longs stocks with the most negative news and shorts stocks with the least negative news is not profitable. Consistent with this result, we...
Persistent link: https://www.econbiz.de/10012806706
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Growth Forecasts, Belief Manipulation and Capital Markets
Lundtofte, Frederik; Leoni, Patrick - 2012
We analyze how a benevolent, privately-informed government agency would optimally release information about the economy's growth rate when the agents hold heterogeneous beliefs. We model two types of agents: "trusting" and "distrustful." The former has a prior that is identical to that of the...
Persistent link: https://www.econbiz.de/10013208555
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Hidden in the Factors? The Effect of Credit Risk on the Cross-section of Equity Returns
Nielsen, Caren Yinxia - 2016
positive momentum effect is concentrated in high credit risk firms. Furthermore, the size effect, but not the value effect … credit risk (valued by CDS spread) and investigates the relationship between credit risk and the market , size, value, and … momentum effects. Consistent with the argument for a negative distress premium, firms with higher credit risk have lower stock …
Persistent link: https://www.econbiz.de/10013208598
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Arbitrage and Optimal Portfolio Choice with Financial Constraints
Elsinger, Helmut; Summer, Martin - 2001
We analyze the pricing of risky income streams in a world with competitive security markets where investors are constrained by restrictions on possible portfolio holdings. We investigate how we can transfer concepts and pricing techniques from a world without frictions to such a more realistic...
Persistent link: https://www.econbiz.de/10013369966
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Sustainable investing and public goods provision
Piatti, Ilaria; Shapiro, Joel Andrew; Wang, Xuan - 2023
We model investors that take into account the amount of public good that firms produce (e.g., by reducing carbon emissions) when making their portfolio allocation. In an equilibrium asset pricing model with production and public goods provision, we find that environmentally conscious investors...
Persistent link: https://www.econbiz.de/10014480675
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Endogenous Acquisition of Information and The Equity Home Bias
Lundtofte, Frederik - Institut für Schweizerisches Bankwesen <Zürich> - 2007
that–if cost functions are convex–the expected size of the equity home bias in terms of differences in invested amounts is …
Persistent link: https://www.econbiz.de/10005858507